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It can also depend on what you want to do, some pets can be handy for different situations based on their abilities. For example, spiders and dogs are able to snare targets (useful in PvP), and turtles can temporarily reduce how much damage they take (useful for soloing tough elites).
Starting at level 20, many can also provide a buff or debuff that's useful for groups, like increasing party members' attack speed or reducing an enemy's defense. Wolves and hyenas are good choices early on.
I highly recommend bookmarking Wow-Petopia.com for pet info and discussion, and you can browse it to see which pets you might like to tame, and where to find them. And this lists which buff/debuffs are provided by which pets:
Edited by Drewb on 4/21/2013 11:32 PM PDT
I have found Terropene (rare in Hyjal) to be my most used questing pet. Any turtle will work, or tenacity-first pet. Some will be better for PVP (Cunning pets) some for dungeons/raids (Ferocity pets) and for leveling (Tenacity pets). Drewb pointed to wow-petopia.com for more info, and that is spot on. some of the best info out there.
I know they can all be spec'd into the three trees. I have found, personally, that some are better for staying in Tenacity than they are at being Ferocity. It may also be that I only tame rares, which can have other skills that their normal counterparts lack. Even when I had my cat spec'd Tenacity, I would have to watch its health more than Teropene. That turtle seems to refuse to get hit. I could throw that turtle into a hozen swarm and not look back.
I found that the best leveling pets are ones that keep things away from you. Spiders are great for this. I also really liked leveling with a turtle, because I didn't have to heal them all the time. They're very low maintenance, and I like pets like that. I'm currently leveling an undead hunter (lv 5) and he's going to be keeping that starting spider for a while ;)
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